Future contracts roll-over

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Viewing 15 posts - 1 through 15 (of 16 total)
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  • 04/30/2021 at 10:24 PM #168499
    Gaby

    Good Day,

    I have a simple question related to futures contracts (eg: CFDs or Spread Bets): can the auto-rollover functionality be activated in ProReal Code and not in IG?

    If not, what is the standard behaviour for a strategy in execution with a futures and reaching the expiration date?

    I see from another blog that activating the auto roll-over in IG creates an external interference causing the strategy quit (therefore, not an option).

    Thanks, Gaby

    05/20/2021 at 9:43 AM #170024
    Gaby

    Fellow traders,

    I am wondering if anyone runs a strategy with Futures in a live environment, as I hit a major problem on contract rollover I can’t solve. Releasing the strategy with a DFB instead will imply paying interests every night at 22.00…. not really the solution I am looking for.

    Thanks for any input.

    Gaby

    05/20/2021 at 12:57 PM #170046
    Vonasi

    IG set up individual instruments for each period of a futures instrument. So if you use ProOrder on a futures instrument at the end of the contract period that instrument ceases to exist any more and IG create a new instrument. ProOrder is unable to transfer your order to a different instrument and so the position is closed or orphaned. For this reason ProOrder should not be used on futures instruments via IG unless you plan to close the trade before the end of the futures contract. Roll over is not possible.

    1 user thanked author for this post.
    avatar Midlanddave
    05/21/2021 at 2:14 PM #170121
    Gaby

    Thanks, Understood

    07/22/2023 at 6:40 PM #218014
    Aragorna

    Hi Vonasi,

    do you know anyone who is using strategies on IB with success on futures index?

    thank’s in advance

    07/22/2023 at 7:24 PM #218016
    GraHal

    Vonasi has not been seen around these parts for over 12 months.

    For us Brits Spreadbetting … when we say a Futures Index are we referring to, for example, DJI (Sep 23) which is quoted by IG under DJI (DFB).

    DJI (Sep 23) spread is about twice DJI (DFB), but as I read on IG website there is no overnight interest.

    Instead when DJI (Sep 23)  rollsover we pay the spread again when a new position is automatically opened on DJI (Dec 23).

    Coincidentally, I opened at traded on DJI (Sep 23)  yesterday to check out that no overnight interest is charged.

    I don’t mind if an AutoTrade would be converted to an orphan trade at rollover time due to the Strategy / Algo stopping due to external action.

    Anybody concur with above statements or have any comments good or bad?

     

    07/22/2023 at 8:18 PM #218017
    Gaby

    Hi GraHal, I am afraid you pay interests also when you trade DJI (Sep 23), too. But instead of seeing an explicit overnight interest debit in your account you will see the future price converging to the DFB, every day you get closer to the expiration date. Example: right now the DJI is quoted 35218 (DBF buy) and 35391 (Sept-23 buy). The difference between the two buy price is 173 points. Today, 22 July 2023 is 55 days away from the 15 Sept 23 expiration date for the future. Every day you will see approx 3 points disappearing among the two (173 / 55), as they converge more and more. The last day the two buy price will be the same.

    These 3 points per day is the implicit cost you pay to leverage with the future. So, you are right when you say: no overnight interests with the Sept-23. However you still pay interests…  in the form of price convergence.

    What is less expensive?

    Well, for intra-day trading it is a no brainer = DFB is cheaper (but you need to close your position before 22.00…). But if you trade duration is longer (eg 3 or 4 days), than the Future becomes cheaper (you can do the math… ).

    I would also like to respond to Aragorna original question: “do you know anyone who is using strategies on IB with success on futures index?”

    Interactive Broker (IB) is usually natively interfaced with Multi-Charts that is a competitor software for ProRealCode. I am aware that in MC is possible to  handle the rollover of a future building a continuous futures data series that is called “Custom Futures”.  However MultiCharts will not automatically cancel and replace the order with the new contract; you need to do it manually. The advantage is: adding the front month contract to the custom futures (continuous contract) you don’t get the strategy quit. But, again: the two orders need to be handled manually when approaching the proximity of the expiration date (and of course after the mapping of the new future contract to the custom futures). There are suggested dates for each market (like: -2days from the expiration date) when to perform the rollover.

    PRC unfortunately does not have this option (continuous contract functionality) and as stated at the beginning of this message this lack of functionality is a major limit of this software. If you trade – like me – futures, it is an unresolved problem by PRC. I personally trade with both (MC and PRC).

    Bye, Gaby

     

    1 user thanked author for this post.
    avatar GraHal
    07/23/2023 at 11:04 AM #218028
    PeterSt
    Aragorna wrote:

    do you know anyone who is using strategies on IB with success on futures index?

    I do …
    But what would be your question ?

    What Gaby said is all correct, except possibly for the roll over which is implied “quite undoable” (my translation of your text, Gaby);

    I don’t see the real culprit in having to get rid of the Future, which -however- could be a psychological issue because you may need to kill the System while it is in a loss. On the other hand, assumed the System/Strategy is a kind of cycle trading system, you’d have 5 days at least to get rid of the old System and fire up the new one for the new contract. One thing I really miss with Autotrading (after 2 times RollOver experience with AutoTrading by now for the IB environment) : I can’t overlap them. IME overlapping them manually always leads to a beneficial situation (you start the new one while the old is still running at a moment you deem suite – you get rid of the old one ditto). With Autotrading we can’t do this and we also cannot let run out a System. So what I seriously miss – also for other reasons – is tell the System “Kill yourself after I pressed this button and you Exit a position”; it would again have a day or 5 at least after I press that button say one week before the Expiration of the Future. Did it kill herself ? then I can restart the System for the new contract.

    … which is a pain in itself because I need to keep track of the Money Management (this structure will be killed along with the killing of the System)
    … which is an other pain in the a… because systems get thrown out all over the place to begin with (hence : I am actually used to that).


    @Gaby    , good to know that you use MC, as I virtually selected it as the only kind of decent alternative for PRT without cowboy attitude (with IB as broker), were it about AutoTrading.

    Great explanation on the interest because it is so true and I actually ran into that recently, for obvious reasons (nobody was used to interest any more).
    Regards,
    Peter

    PS: You could look at the Volume to decide when to hop over to the new contract. I the end I am not really interested in “a very best price” (I’m not a scalper), if you only don’t wait till the last hours before expiration to get rid of a position (strange things may happen which otoh also can be beneficial).

    07/23/2023 at 11:46 AM #218029
    GraHal
    PeterSt wrote:

    So what I seriously miss – also for other reasons – is tell the System “Kill yourself after I pressed this button and you Exit a position”; it would again have a day or 5 at least after I press that button say one week before the Expiration of the Future. Did it kill herself ? then I can restart the System for the new contract.

    Why do you ‘seriously miss‘ doing the actions stated above … as surely you can do above actions??

    07/23/2023 at 12:11 PM #218030
    PeterSt

    Tell me about it …

    07/23/2023 at 12:32 PM #218031
    GraHal

    NO you tell me about it! 😉

    Am I missing something?

    We can exit, for example, DJI (Sep 23) in the last 5 days before expiration at a point we judge best in those 5 days and then open a trade the DJI (Dec 23) at a point we judge best in thos 5 days.  We can if we wish open DJI (Dec 23) before exit DJI (Sep 23).

    We can do above either manual or with Algos (I understand that money management will be screwed etc).

    Do you agree with above Peter?

    07/23/2023 at 12:51 PM #218032
    PeterSt

    Eh … no ?

    Notice that I understand that you kick out Systems more than regularly, because you think they are in the proper state of losing / winning. This is not how I work … the System itself has to decide. So say that upcoming Friday a Future expires at noon. Then Monday morning I may like to tell to my running system (let’s say it has an open position)

    • Please kill yourself at the first moment you are not having a position (hence at the first opportunity that you Exit).

     

    I my case I would know that this easily happens in the upcoming 4-5 days because the System does 10+ trades (in/out) per day.
    So at some stage the System has killed itself (notice that it was started 3 months ago) so now I can prepare / start the same System for the new contract.
    Keep in mind : unlike with IG, with IB we can’t have two Autotrading positions for the same Instrument (so I can’t let overlap Old with New). And on another note, we sure can have two positions on the same instrument with Manual Trading, if only the contracts are not the same (like 06/23 vs 09/23). So it bugs me that my manual behaviour can not be mimicked with AutoTrading.

    Btw, the main thing you may be missing (how can you know) is that any system which exits while I am attacking the toilet, coffee machine, my wife, my garden, will imply a new entry in no time.

    More clear now, right ?

    07/23/2023 at 1:37 PM #218033
    GraHal

    Yes more clear, thanks.

    The out and back in again withing the 5 days before expiry suits me fine as I (often in Live) override the code due to seeing market structure that the code does not see.

    PeterSt wrote:

    Then Monday morning I may like to tell to my running system (let’s say it has an open position) Please kill yourself at the first moment you are not having a position (hence at the first opportunity that you Exit).

    So are you saying you code it into your System for the 5 day pre-expiry of Futures to kill itself?

    Or you plan to kill System  manually, but while you are making coffee the System exits and also enters a new position so manual killing is not a smooth workable process?

     

    07/23/2023 at 2:22 PM #218035
    Gaby

    Guys, thanks for all contributions. I agree with Peter, for systems trading 10 times a day (maybe using the 5-min or 15 min charts) rollover is not a big issue.

    Yes, you need to be aware of the expiration dates (4 times per year) and yes, you need to do a bit of monitor, to sneaky between two trades, to stop the strategy, update the code and re-launch. Not a big deal: worse case you might have lost a trade.

    But a bigger issue might arise when trading something weekly or longer. For these strategies you might be forced to manually close the running position as the strategy might not call the exit. Then, re-opening the trade with the new contract. Plus updating the code of the strategy (with the new contract). The challenge is: manual trades (the new position) cannot be recognised by Prorealcode. You might have a running trade (let’s say with the DJI Dec 23) but invisible your algo. Exit should also be done manually, so: not a solution.

    Other scenario: you can close the running trade + update the code in the algo with the new contract and then waiting for a new signal to re-enter.

    Again, if this is a trend following strategy trading long term, is an issue. A long term trader with multi-strategies might need a more sophisticated solution

    Bye, Gaby

     

     

    07/23/2023 at 2:22 PM #218036
    Gaby

    Guys, thanks for all contributions. I agree with Peter, for systems trading 10 times a day (maybe using the 5-min or 15 min charts) rollover is not a big issue.

    Yes, you need to be aware of the expiration dates (4 times per year) and yes, you need to do a bit of monitor, to sneaky between two trades, to stop the strategy, update the code and re-launch. Not a big deal: worse case you might have lost a trade.

    But a bigger issue might arise when trading something weekly or longer. For these strategies you might be forced to manually close the running position as the strategy might not call the exit. Then, re-opening the trade with the new contract. Plus updating the code of the strategy (with the new contract). The challenge is: manual trades (the new position) cannot be recognised by Prorealcode. You might have a running trade (let’s say with the DJI Dec 23) but invisible your algo. Exit should also be done manually, so: not a solution.

    Other scenario: you can close the running trade + update the code in the algo with the new contract and then waiting for a new signal to re-enter.

    Again, if this is a trend following strategy trading long term, is an issue. A long term trader with multi-strategies might need a more sophisticated solution

    Bye, Gaby

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